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STAY TUNED! If you are anticipating additional search filters by attribute and level to align with the CAS Capability Model, it is coming later this Summer. As the CAS begins to code recorded sessions by specific attributes and levels (starting with the 2023 Annual Meeting), these will be tagged in the CAS database of presentations going forward and should be searchable.
But you may use the Capability Model now to help you identify topics. For example, if you want to move up one level under the content area “Functional Expertise,” you may search topics in the particular functional area to expand your knowledge.
Recorded content is searchable by Capability Model attribute and level in the CAS Online Library.
An Approach to Risk Based Capital for African Life Insurers
There has been an increased interest by insurance regulators across Africa to introduce risk-based capital (‘RBC’) .This has been necessitated by the economic turmoil of 2008 and a desire by the regulators to see that insurers review their underlying risk and manage those risks actively. However, the two main challenges of implementing RBC in Africa have been lack of actuarial resource and lack of guidance provided to the regulators.
The paper aims at designing a suitable yet less sophisticated RBC model for Life insurers operating in Africa with the objective to incentivise regulators in Africa to introduce RBC in their respective regimes. The paper also aims at expounding on the issues that should address as the regulator develops a suitable framework for their various countries.
Insurance penetration levels remain very low in Africa and this has largely been due to a lack of trust from the public who find insurance companies unable to pay claims when they arise. This is partly because of poor capitalisation of insurance companies and a lack of proper risk management. RBC therefore provides an opportunity for African insurers to improve on their risk assessment and increase public confidence in the insurance industry.
The paper begins by looking at the current RBC practises around the world with the aim of deriving a suitable model for an African life insurer. Then a theoretical background of the various risks and their measurements as experienced by a life insurer is demonstrated. The paper then goes ahead to show how life insurer’s assets and liabilities should be valued for the purpose of capital calculation. After which the paper expounds on the methods for calculating capital risk requirements applied to each risk faced by the insurer and this will be followed by how these individual charges can be aggregated to derive a suitable economic capital for the insurer. Finally, the paper ends with an illustrative example of a simple RBC model.
The ideas and methodologies in the papers are not exhaustive. Instead, they provide an overview of a conceptual framework for RBC but more work will be needed by each country to develop suitable frameworks that suit their respective markets. The paper aims to encourage further discussion by practitioners in Africa on how best to utilise their resources to develop a framework that suits their respective companies.
Key Words: Capital Regulations, Capital Requirements, Capital Calculation, Risk and Solvency
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
An Approach to Estimating Model Uncertainty
Within the property/casualty insurance industry, increased interest is being placed on understanding the variability inherent in a point estimate loss reserve. This session will begin with an overview of the basic building blocks to estimating reserve variability and will then introduce a component of reserve variability that is often overlooked: model uncertainty. This session will present a methodology for incorporating model uncertainty into the reserve variability estimate and will use a case study to demonstrate its use.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
An Actuarial Programming Language for Life Insurance
We show how the design of pension and life insurance products, and their administration, reserve calculations, and audit, can be based on a common formal notation.
This notation is human-readable and machine-processable, and specialized to the actuarial domain, achieving great expressive power combined with ease of use and safety. In essence, this is a specialized actuarial programming language. The language comprises (a) product definitions based on standard actuarial models, including arbitrary continuous-time Markov and semi-Markov models with cyclic transitions; (b) calculation descriptions for reserves and other quantities of interest, based on differential equations; and (c) administration rules.
Each such description serves multiple purposes, thus ensuring consistency between all the operations of the insurance company: distributing incoming payments across coverages, generating annual statements for customers, paying benefits to pensioners, calculating reserves, producing reports for accounting and tax purposes, and so forth. Reserves are calculated by high-performance numerical differential equation solvers.
Because of the specialized nature of the language and its direct basis in actuarial theory, we can provide automated tools for early detection of errors and inconsistencies in the design of an insurance product. Moreover, even though the notation reflects a high-level actuarial view of products and reserve calculations, the calculations can be automatically optimized to be very fast. The short distance from actuarial thought to efficient computation enables much faster and less expensive development of new pension products.
In this paper, we demonstrate how to describe products and common analyses such as computing reserves and equivalence premiums, while avoiding the intricate and opaque program code typically found in IT systems for insurance and pension administration. Actuaries can use the language and system for rapid experiments with new product designs, and subsequent administration can build on the exact same product descriptions.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
An Actuarial Perspective on Healthcare Costs in the Last Year of Life
The paper aims to provide an actuarial perspective on high health care costs incurred by insurers in the last year of a policyholder’s life. Costs in the last year of life are compared to costs in earlier years prior to death and standard methods are used to compare decedent and survivor costs.
We describe the key methodological issues for actuaries to consider in analysing these costs in terms of calculating exposure and risk adjusting the results. The effectiveness of clinical grouper systems in predicting high medical resource utilisation at the end of life is explored. We consider the need for incorporating end-of-life costs in projecting health insurance expenditure, designing health insurance products and pricing health insurance products.
The experience of South African medical schemes is used as a case study to illustrate the impact of methodological choices on the results obtained. In this context health care costs in the last year of life are found to be 3.5 times higher than in the second last year of life, and decedent costs are found to be at least 15 times higher than survivor costs on a risk-adjusted basis. In addition last-year-of-life costs are observed to decrease with age after age 70. We outline the characteristics of the South African health care system and highlight the key limitations when comparing last-year-of-life costs between health systems. We also consider the relationship between health policy and end-of-life costs, in particular the impact of minimum benefits and the scope for anti-selection.
*Awarded Health Track Prize
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
An Actuarial Model for Basic Income Benefit
In the year 2005 the World Bank proposed to design an economic benefit for every citizen depending on his own situation. This kind of benefit has to be supported in an annual financial base, taking into accounts the demographic and economic situation of the country. It is possible to define this benefit as Basic Income. This new level of social protection implies a redesign of the basic and compulsory level of protection that every country has. Even more, it implies re-designing the whole system of benefits, because part of them should include a Basic Income. This step is necessary, since for definition the Basic Income benefit is universal, individual and unconditional one and all the citizens will receive it, having salaries or not.
In Spain the financial model for the Social Security is a pay as you go and there is a high number of different grants that would be included partially inside this conception.
The aim of this paper is to design an actuarial model for financing the Basic Income Benefit. This model has to redistribute the existing benefits (retirement, disability, mortality) and the Basic Income benefit. The model, as well as, has to redirect the sufficient income to finance them, without reducing the technical balance of the Social Security system.
This conception implies to modify the actuarial model in use for the nowadays Social Security system to a new one based on the International Labor Office model –ILO 1998-.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Motor Insurance In Maghreb Countries: Comparison of Bonus-Malus Pricing
Keywords: pricing, bonus - malus system, underwriting profit/loss, risk classes, equity, efficiency
In the three Maghreb countries, the motor insurance dominates the insurance market.
This line of business reveals high loss ratios both for material damage and bodily injuries, directly impacting the pricing system, key factor for the sound financial situation of a company.
In order to guarantee the solvency and viability of the industry and also to promote accident prevention, pricing systems like the bonus-malus system were introduced in the Maghreb countries.
In fact, the bonus-malus system or pricing ‘afterwards/a posteriori’ based on the historical loss of each insured will penalize those causing several accidents in increasing their premium and will reward good drivers with a bonus under the form of a premium discount.
The level of bonus or malus achieved by each insured ‘bonus/malus’ class is organized in accordance with established transition rules set beforehand.
In addition to contributing to the prevention of accidents, one of the main objectives assigned to this practice is to create classes of homogeneous risks. Consequently an insured belonging to a particular class will pay a premium commensurate with the risk of this class.
Of course, strict monitoring by the pricing actuary is mandatory to ensure the continued financial stability of the bonus-malus system and its overall effectiveness.
The above mentioned characteristics will be analyzed in a comparative study for the three Magreb countries (Algeria, Morocco, Tunisia). The results of this comparative study will enable us to determine their efficiency and evaluate each of the bonus-malus systems studied.
The paper will first review briefly the insurance market in each of the three markets, then the motor line of business, then describe the respective bonus-malus systems and proceed finally with a comparative analysis.
We undertake this analysis using data obtained from leading insurance companies in the motor business for the three countries. This will allow us to make an assessment of the practical bonus-malus system in these three countries.
Primary outcomes relevant to this assessment lead us to analyze the effectiveness of the existing systems and its current pricing.
Finally, a summary of the presentation and the main practical results will be presented in the last part.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
African Insurance Industry: Dealing With Conflicts And Political Development: Can The Actuarial Profession Assist?
Strategic Objective 4 from the IAA supports the development, the organization and promotion of the actuarial profession in areas of the world in which it is not present or is not fully developed.
A committee ‘Advice and assistance’ is dedicated to this strategic objective. Three subcommittees exist in September 2012: Africa, Asia and South America and concentrate on the continents as put in their name. The Section ‘Actuaries Without Borders’ seeks to make available actuarial services through volunteer efforts to assist as well.
Those efforts have indeed contributed to the promotion through its regular ‘(sub)continental’ congresses, regular in-person meetings between ‘locals’ and representative members of the IAA, local initiatives from actuaries. But at a distance, it sometimes looks as the pace is too low projecting ‘western’ principles. Also at a distance, one does not have access to unbiased information.
This panel, including actuarial students/actuaries from Africa, Asia and Latin America will first provide you some inside information guiding you and IAA in the future and afterwards, afterwards the floor will be given to each participant of this meeting. Each member speaks in his/ name and from his day-to-day experience. The panel does not have the pretention to General Sessionize, should others in the audience believe their ‘case’ is in discordance with what the panel will tell. At the end, the panel will formulate concerns which may guide the various instances of the IAA while continuing the promotion and the development of the actuarial profession in developing countries.
The following topics will be dealt with:
- Comprehension of the actuarial profession in the developing countries
- The actuarial profession in laws, acts, regulations, etc for insurance industry and social security
- The environment (education, socio-economical, political,…)
- The cost of becoming an actuary
- The local and/or distance mentoring by fully qualified actuaries
- The job market
- Do we need actuaries or actuarial technicians for the time being?
- The drain brain
- Etc – maybe other topics will come up when the panel is ‘completed’
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Advice & Assistance Committee / Education Committee of IAA Panel
A&A indeed plans to have a session, you may recall that we started the discussion in Los Angeles already. However, Mary Frances Miller proposed in LA that we may want to think about joint session with Education committee which would then concentrate on developing the actuarial profession from also educational point of view - applying the syllabus, faceing the problems with organising education, professionalism within the education etc. I think this kind of approach would be very good and this would differ slightly from previous congresses which is also good.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Advanced Portfolio Insurance Techniques for Funding Ratio Management (Poster Session)
The 2008 financial crisis and the difficult market conditions that have followed, combined with a lack of appropriate objectives, have completely reshaped the pension fund landscape. The defined contributions pension funds all over the world have seen a huge deterioration of their funding ratios and are now desperately looking for high returns, in order to be able to deliver old age pensions.
We will examine state of the art research in the field of risk management in the presence of liability constraints and present a new approach of funding ratio management through dynamic risk allocation that takes into account future uncertainty. This approach results from combining several research areas: portfolio insurance, asset/liability management and stochastic simulations, together with extensive market knowledge. The presentation will end with a US pension fund case study comparing in a stochastic universe different ALM techniques currently used.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Addressing Key Issues of Catastrophe Modelling Leading to Misspecification and Instability of Internal Capital Models
This paper addresses uncertainty in vendor catastrophe model outputs and instability of modelled cat event losses as follows:
• It introduces a statistical approach to quantifying model uncertainty and allowing for it in the key statistical outputs of vendor catastrophe models before they are further used in the internal capital model;
• It considers the use of multiple vendor models as the mean of mitigation of model uncertainty; and
• It introduces a simulation approach to simulating actual cat events that significantly reduces sampling error. .
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Actuaries Without Borders: Education and Mentoring That Promote the Profession; The Profession in Asia
Actuaries Without Borders is the IAA section whose mission is to promote the public good globally, focusing on countries that lack the actuarial expertise needed to create productive, sustainable, and stable markets for insurance and other risk mitigation products, and the resources needed to develop the actuarial profession. In such countries, our volunteers serve as actuarial educators and mentors, working with actuarial associations, public entities, governmental organizations, and NGOs. Our panel will bring together volunteers and the local actuaries who have benefitted from their services in three recent AWB projects. Panelists will discuss how the various projects were conceived and developed and how they benefited actuaries and promoted the actuarial profession in the specific countries. The session will seek to provide insights both for actuaries from countries with a developed profession who work or plan to work in countries where actuaries are less experienced and for actuaries in those countries who would like to benefit from the mentoring of more experienced actuaries. Participation by members of the audience will be greatly encouraged.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Actuaries Still Think that Sex is Important
Equal treatment is a topical issue and tends more and more to prohibit differentiation in premiums.
It is mathematically clear that on the whole premiums are lower with differentiation (so there is at least some mathematics in the presentation). Collectively differentiation is therefore beneficial to the society.
However, actuaries have difficulties in telling this to outsiders and they also do not understand the reactions received. My claim is that this reveals actuaries are in ethical sense utilitarians. Actuaries value solutions based on how good they are for the society as a whole. They find it easy to frame their thinking in utilitarian terms and they have problems in understanding other ethical standpoints. If, however, an utilitarian tries to tell a story to someone who subscribes e.g. to the Kantian moral imperative, the situation is bound to lead to misunderstanding.
This study will analyse the situation from the point of view of some different ethical standpoints and evaluate differentiation in actuarial techniques according to these. It then tries to evaluate what possible differentiation criteria (e.g. race, gender, age, disability) might be allowed in different ethical frameworks.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Actuaries and Public Outreach
Panel name: Actuaries and Public Outreach
Panel description: Participants on this panel will present outreach examples from their respective organizations.
All Congress attendees are invited to visit the Exhibition Hall to visit the “Actuaries and Public Outreach” area.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Actuaries  The Next Generation [The Evolution of a Profession Continues]
The world is turning. Not faster than usual. But this does not hold true for the (life) insurance industry. The (life) insurance industry is in the beginning of massive changes. The trends in the environment – just think about the regulatory framework, competition and cooperation, the consumer and also the technological progress and the demanding economic environment – will induce changes in thinking, steering, acting and the entire organizational structure of an insurer.
During this period of change, as well as afterwards, the actuaries will play a key role. But actuaries are not only appointed in all trouble spots in the (life) insurance business. They work directly on the "core service" in product management and product development. The actuaries take care of processes and monitor and manage the company's risks. With highly sophisticated models they support the top management decisions without leaving aside the second pillar of all decisions: experience, intuition and foresight. Further on, they develop and control the business and transfer the product know-how to the sales and marketing area. And, the actuaries also work together with the asset manager in order to meet the liabilities.
The challenges of the (life) insurance industry are heavily increasing. The area of tension – in the center of which the consumer, the sales force and the service is located – is complex and will fuel the expected change in (life) insurance companies. It is therefore evident and crucial that the actuaries play also a key role in shaping the insurer’s response to these changing demands.
Is this just a future vision or already reality? An actuary today is not the same as an actuary in earlier days. And tomorrow the role will be different than today. One thing is sure: The actuaries of the next generation will come.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Actuarial Valuation versus Market Valuation under a Volatile or Abnormal Market Environment
Market valuations have lead to significant problems in financial systems - witness the housing crisis and resulting financail meltdown in the US in the last decade. Actuarial valuations are preformed with a much longer view on valuation and can add stability to the process, preventing asset bubbles.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Actuarial Penetration and Actuarial Density: Potentially New Concepts
Insurance penetration and insurance density are terms commonly used to describe the development of insurance markets around the world. Since the actuarial profession is global, can the concepts of actuarial penetration and actuarial density be meaningful? Using publicly available information from the International Actuarial Association (IAA) and various economic/demographic sources, the authors explore various measures and the possible correlations between them, discussing the pros and cons of each. We will consider all actuarial associations that are members of the IAA, presenting the insights we can obtain through these measures combined with the calculated actuarial density and penetration of each country analyzed.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Actuarial Issues in Microinsurance
The IAA Microinsurance Working Group has been working with the global microinsurance community to develop the role of the actuary in this growing field and to support development of effective microinsurance risk bearers. Much work has been done by MIWG. This session will present the work and provide the actuarial community with an opportunity to learn more about microinsurance and its particular actuarial issues.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Actuarial Aspects of Modeling Health Care Systems Around the World
This presentation will examine the actuarial aspects of measuring health system costs, access, and quality. The presentation will cover what aspects of modeling are consistent across countries and what aspects vary based on various environmental, political, and policy characteristics. Various health system reform scenarios will be reviewed and discussion and examination of how those reforms are expected to impact overall system costs, access and quality.
The presentation will discuss important issues of selection, healthcare stakeholder behavior and risk managements.
The presentation will draw on experience of the author’s work around the works with respect to health system modeling. The presentation will provide attendees with a General Session understanding of the basic building blocks of healthcare system modeling and an overview of various approaches that can be taken to perform that modeling.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Actuarial Approach for the Implementation of a Sustainability Factor in the Public Pension System in Spain
Demographic, economic and financial tensions in Europe are focusing the debate on social security systems on the sustainability and adequacy of benefits guaranteed by those systems to citizens and workers. In some European countries this debate has led the introduction of changes in their social security economic and financial systems.
The reform of public pension system approved in Spain in August 2011 suggests the need to introduce a sustainability factor in order to maintain the ratio of contributions to the system and its expected benefits, through the revision of the basic parameters of the system depending on the evolution of the life expectancy of the population.
This article / presentation analyzes the "generosity" of the Spanish social security system (whose funding scheme is based on a “pay as you go” system) and, in this context; study the most effective mechanisms of automatic adjustments to implement a proper sustainability factor from the actuarial point of view. The evolution of life expectancy is not the unique element to be taken into account for designing such a mechanism, we have to analyze other possibilities, among which we can mention: ratio of contributors / pensioners, dependency ratio, ratio of social security contributions / social security pension expenditures, actuarial present value of future benefits, ratio of actuarial present value of benefits / actuarial present value of contributions, etc. This analysis can provide us improvement conclusions and challenges to achieve for this type of systems in order to ensure the correct coverage of its risks.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
Actuarial and Analytics Hiring Trends in the Global Insurance/Reinsurance Markets Today
The presentation will provide detailed information on the actuarial and analytics hiring trends in the various markets around the world. From developed countries to developing countries, the focus will be on the in-demand and growing insurance/reinsurance sectors by region. With the advent of Solvency II in Europe to the burgeoning business of micro-insurance in India to the established markets of North America, the presenters will break down not only the varied hiring trends throughout the world but the skill sets employers seek in today’s global actuarial and analytics professions.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
A Study of Insurer Risk Strategy
Plural Rationality theory from anthropology suggests that there are four different risk attitudes that will be found driving risk related decisions. This paper will describe risk management strategies that are consistent with those risk attitudes and presents a study of the practices of 8 insurers where the approach to several of their major risks are compared to these predicted strategies. The tentative conclusion is that insurers use these four strategies and vary their use for each major category of risk and that future work may be able to show that their choice of strategy ties back to their view of each risk as predicted by the authors interpretation of the Plural Rationality theory to insurance company’s risk management.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
A Primer in Multilevel Modeling for Actuarial Applications
Multilevel modeling is a powerful tool for dealing with complex data structures including hierarchical and cross-classified datasets. Thus, it can easily accommodate for many of the special features of insurance data (especially group insurance). It can also allow for panel/longitudinal aspects of the data, which are often important especially for experience rating purposes.
Despite the significant importance of this modeling approach and its high potentials for actuarial applications, it started to find its way to actuarial literature only recently. This may be partly attributed to the unfamiliarity of this technique to many actuarial researchers and practitioners. Therefore, the key purpose of this paper is to provide a clear & concise introduction to this important topic within an actuarial context.
In particular, this paper is written as an introductory primer suitable for both academics & practitioners. It starts from the familiar (single-level) General Session linear model. Then, it builds up to the more advanced multilevel modeling approach, with all new terms clearly explained. The paper also highlights the key benefits gained by using this approach, and relevant recent applications from insurance and actuarial literature. Interested readers are also referred to more elaborated references for further reading. Overall, it is hoped that this paper will encourage more researchers and practitioners to adopt this important technique in their future work.
*Awarded 2nd Place Non-Life Track Prize
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
A Pension Panel: Current Issues
TBD
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
A Partial Internal Model for Longevity Risk
This paper proposes a partial internal model for longevity risk within the Solvency 2 framework. The model is closely linked to the mechanisms associated with the Danish longevity benchmark, where the underlying mortality intensity and the trend is estimated yearly based on mortality experience from the Danish life and pension insurance sector and on current data from the entire Danish population. Within this model, we derive a new estimate for the 99.5 % percentile for longevity risk, which differs from the longevity stress of 20 % from the standard model. The new stress explicitly reflects the risk associated with unexpected changes in the underlying population mortality intensity on a one year horizon and with a 99.5 % confidence level. In addition, the model contains a component, which quantifies the non-systematic longevity risk. This last component depends on the size of the portfolio.
(Joint work with Søren Fiig Jarner, chief Analyst, ATP, and Adjunct Professor, University of Copenhagen)
Key words and phrases:
Solvency 2, mortality, longevity stress, Danish longevity benchmark, systematic and unsystematic risk
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
A Natural Examination of the Natural Hedging
In this paper, we take a closer examination to the so-called natural hedging approach proposed for life insurers to internally hedge their systematic longevity risk exposures. Relying on a non-parametric mortality forecasting model, we manage to detour from the debated factor model assumption and conduct a more realistic approach to test the actual effectiveness of natural hedging. In particular, our numerical results of calculated optimal economic capitals suggest that for life insurers, natural hedging may not be as effective as proclaimed by the existing insurance literature in handling longevity risk.
Source:
2014 International Congress of Actuaries
Type:
Concurrent Session
